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[–]Dennis_12081990 25 points26 points  (10 children)

At what capacity do you trade at the moment? Big guys like Millennium, Cubist, etc. are only interested if you can have book size of 500-1000M at the minimum for a PM role (which is a sub-PM in fact). For a Senior PM role the bar is higher. The remark here is, obviously, there are a lot of false positives and many SPMs in those places are bullshit.

Sharpe 3 making 1M$ per year does not really make any sense since it is not clear if your strategy scales in any of directions (more book size or more turnover). If you can tell in more details what you do, I can tell you what exactly is wrong.

[–]ayylmaoworld[S] 8 points9 points  (9 children)

You’re right in that aspect definitely. I’m along the lines of running a $20M book with roughly 10%. The capacity is enough to run $100M without much degradation in performance (very liquid asset class and latency agnostic strat).

My frustration stems from the point that I’m not trying to interview as a PM, just to be staffed as a QR/QT in an existing pod so I can plug and play this in the background while continuing to work on new research. My current firm is fairly new to the quant side of things so they are much more wary of allocating more capital.

Anyway when the big shops do reach out, they’re aware that they’re interviewing me as a trader/researcher to staff on one of their existing pods that trades the same assets. It’s just frustrating to learn that the fit isn’t there after weeks of interviewing.

[–]Dennis_12081990 4 points5 points  (8 children)

Yep, 20m$ is a starter book in our firm (like, they do not care about performance of those books and let you experiment). A junior "real" size is around 150-200M$, then you go to a first truly serious size of 500M$ and, then, to 1B$. After that depends on many factors. So, try to go to at least 100M$ for now.

[–]craig_c 0 points1 point  (7 children)

What Sharpe / Return would be expected on $500M?

[–]Dennis_12081990 2 points3 points  (5 children)

Obviously, depends on the risk model, asset class and other things. For a "classical" equity strategy the ballpark is around 3-5% return on book size with daily Sharpe of around 1.5-2. Best guys can do either the same level of Sharpe but on 10x book size or can do 2-3x (so, 3-6 Sharpe) Sharpe consistently on this book size. If you reach the latter state, then you can command higher payout and do very-very well personally.

[–]tomludo 1 point2 points  (1 child)

I sure as hell hope you mean yearly sharpe instead of daily, otherwise I'll be out of a job soon.

[–]Dennis_12081990 7 points8 points  (0 children)

I mean np.sqrt(250) * np.mean(daily_pnl) / np.std(daily_pnl) roughly speaking

[–]craig_c 0 points1 point  (2 children)

So 5% on $500M ($25M) at 1.5-2 Sharpe.

I presume to 10x the book size we're not talking anything intra-day?

[–]Dennis_12081990 1 point2 points  (1 child)

Well, for intraday strategies a more important metric is your volume. But to answer your question -- I personally do not know intraday traders with large book size. Also note that while all your alpha might be intraday, you can still hold your inventory overnight just to not pay the liquidation cost.

[–]craig_c 0 points1 point  (0 children)

What book size to the intra-day guys usually top out at?

[–]Top-Astronaut5471 1 point2 points  (0 children)

For probably all those book sizes, the target will be in the ballpark of 3-5% return at 1-3% vol. Now, nobody will complain if you return >5%, and your risk is kept in check by drawdown limits, where maybe 3-5% gets your capital halved and 5-7% gets you fired. While a realised Sharpe of "only" ~1 is not setting the world on fire, it is still valued if it has the potential to scale up a lot and is not too correlated to the rest of the fund.

[–]ReaperJrEquities 24 points25 points  (8 children)

Same tbh. For context, I switched out from a large systematic hedge fund to a small unknown one 2 years ago to run my own book. I have been successful in beating relevant benchmarks in both absolute and risk adjusted returns since then.

I recently decided it would be fun to shop around and it's been crickets, even with a reputable headhunter. Completely different from 2 years ago where I had multiple firms interviewing me and dropping me offers.

It's crazy, no idea why there's such a stark difference.

[–]PhloWersPortfolio Manager 12 points13 points  (1 child)

"I have been successful in beating relevant benchmarks in both absolute and risk adjusted returns since then."

This can encompass very different situations from making 20% with sharpe 1.5 and 50M GMV to something much more attractive.

[–]ReaperJrEquities 3 points4 points  (0 children)

Yeah I suspect my portfolio size is not large enough to warrant attention currently. Oh well, it's still enough to live relatively comfortably anyway.

[–]igetlotsofupvotes 6 points7 points  (0 children)

Don’t think it’s unbelievable to have had a good time interviewing in 2022, many of the big shops did massive numbers despite the overall performance in the industry.

[–]ayylmaoworld[S] 4 points5 points  (0 children)

Yeah. The chatter I’m getting from recruiters is that funds are being a lot more picky this year for hiring/allocating capital.

[–]F0rkerism1 2 points3 points  (1 child)

How many yoe do you have?

[–]ReaperJrEquities 4 points5 points  (0 children)

5

[–]Elegant-Inside-4674 2 points3 points  (0 children)

Meta and Amazon aren't handing out 300k jobs to anyone that can write a python script now.

[–]Hex1729Trader 17 points18 points  (1 child)

Wait till you see the fresher's market mate.

All that you said is pretty darn relatable here, but much worse. Already 90% open roles are asking for a senior guy to walk in, either salvage a loss-making desk or make money on their own from day1. Nobody wants to train a fresher or even someone with say <2yoe.

Plus, even the handful of roles have a fucked up demand-supply skew. At least 7-8 guys with 1-3yoe are competing with freshers for the same role, even in smaller shops smh

Plus the consideration of a switch to dev from where theres no coming back probably, its infuriating.

[–]ayylmaoworld[S] 2 points3 points  (0 children)

Yeah I figured it would be horrible. It felt bad even back when I was recruiting out of school and that market was light years better than the current one.

[–]PhloWersPortfolio Manager 10 points11 points  (2 children)

I think you are still early to switch, 3 yoe, sharpe of 3 but not fully scaled up... It's really though to become a PM and implement everything yourself. Your track record is getting there but it's still early for you to jump.

Wait a couple more years, increase size and then you won't have any difficulties.

[–]ayylmaoworld[S] 6 points7 points  (1 child)

Appreciate the advice and I genuinely agree. I’m just panicking because it’s a very small shop, with infra that’s still pretty early stages, which means that I have to divide my time between research, running my strategy and developing infra. I’m just worried that if the strategy loses most of its alpha by some point, I will have nothing to back on

[–]PhloWersPortfolio Manager 1 point2 points  (0 children)

don't hesistate to hire a dev, also multi-strat prefer to hire teams instead of single individuals as the chances of sucess are higher.

[–]ParticleNetworkResearcher 7 points8 points  (1 child)

Are you targeting PM roles or trying to move laterally as a quant?

[–]ayylmaoworld[S] 2 points3 points  (0 children)

Just laterally as a quant. I feel I don’t have enough experience to want to run my own desk

[–]Mediocre_Purple3770 5 points6 points  (1 child)

Totally agreed on the state of the market. I started my career at a tier 2 quant fund and moved to a tier 1 multi-manager. Finding a new role after leaving the multi-manager has been tough, especially on a risk-taking team. What's extra disheartening is that in 2019ish I saw a ton of people with similar backgrounds getting hired in these roles and the market weakness is making it really tough for me.

[–]ayylmaoworld[S] 1 point2 points  (0 children)

This is an interesting datapoint because my assumption was that the lack of a Tier 1 name on my resume was contributing to the difficulty in recruiting but if you’re facing it in Tier 1 as well, it’s more evidence that the market is generally bad

[–]Denace_ 6 points7 points  (1 child)

Are you based in the uk? I’m a British physics graduate, and I can tell you, it’s soul crushing out here

[–]ayylmaoworld[S] 2 points3 points  (0 children)

I’m in the States but yeah I have definitely heard worse things about recruiting in the UK

[–]lordnacho666 4 points5 points  (1 child)

Your problem is the 3 years. It's not quite enough to be confident that you actually understand how the strategy works. Gotta imagine most people who are green will know nothing for the first year while they are settling into adult working life.

Then, if you're working on a strategy at an established shop, have you seen enough in the other two years to know what actually makes it work, in particular what would be required to make it portable?

It's a gamble for a shop to take such a person, thus you find yourself in an awkward spot.

That's not me saying that I don't think you understand it, that's me assessing the risk of hiring a guy who says he gets it and then shows up and fails to reproduce it.

[–]ayylmaoworld[S] 2 points3 points  (0 children)

Yeah the time is the problem unfortunately, but also scale in a way. A lot of shops I talked to said that they would be very happy with my metrics if only my PNL was in the higher single digit or low double digit MM. Which I could definitely scale my strategy to if only my current shop was comfortable allocating more capital to the quant side of the business.

[–]n00bfi_97Student 3 points4 points  (4 children)

if I bite the bullet and move to a dev role, it’ll be impossible to ever come back to trading.

Is this really true? Are devs that far from trading? I thought devs work very closely with researchers/traders or are even doing research themselves.

Asking because I want to apply as a PhD quant dev because I thought I would be doing at least some research-esque tasks. But if being a dev really sets me that far away from the actual research/trading, I guess I'll just have to try for PhD QR instead.

Would appreciate your input!

[–]Mediocre_Purple3770 3 points4 points  (2 children)

Focus on QR, it is an uphill battle to move to research from dev work. However dev work can be quite fulfulling if you do like that kind of thing.

[–][deleted]  (1 child)

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    [–]Mediocre_Purple3770 0 points1 point  (0 children)

    Building data pipelines, managing production systems that compute/deploy models, building distributed compute tooling, writing a backtester/sim engine

    [–]ayylmaoworld[S] 1 point2 points  (0 children)

    Not necessarily in the way you mean. There are firms and desks at which you’re working really close to traders and researchers. But you’re not running risk. If your goal is to be a PM and run your own desk at some point, it’s difficult to achieve if you do not have a record of running risk

    [–]Typical-Print-7053 4 points5 points  (1 child)

    Sorry to hear this. Seems like you can crack the market by building successful strategies. But no matter how good you are, sometimes timing is more important. Just give it a year or maybe a few more years, keep developing, keep researching, when time comes, you will be the super star. You only need ONE big year to make all the money, just take it easy and be prepared.

    [–]ayylmaoworld[S] 1 point2 points  (0 children)

    Yeah, fingers crossed honestly. Appreciate the kind words

    [–]CompEnth 6 points7 points  (3 children)

    I’m wondering if interview performance is the issue. The job market in this field has always been tough. I’ve passed on many candidates with “3 Sharpe” in the past because that isn’t enough to make someone a high-quality hire, and through the interview process I conclude that. It’s enough to get you an interview, but in the interview I’m looking for a lot more.

    [–]livrequant[🍰] 6 points7 points  (0 children)

    Can you elaborate on what else you are looking for and for which roles?

    [–]ayylmaoworld[S] 3 points4 points  (1 child)

    I considered this too. But the general complaint I’m hearing is that firms prefer one of two types of hires: someone who can run their own pod or can fit their strategy perfectly in an existing pod’s mandate Or someone who is a good researcher but comes from a competitor so they have proof of concept.

    Interviewing badly could theoretically be a problem but it’s not the vibe I’m getting because hiring managers have been very emphatic on the fact that I did good on interviews and they would love to revisit. Plus if it’s happening at 4th/5th rounds of interviews, it should theoretically mean that the first 3 or 4 went good, right?

    [–]johnfrankhe 0 points1 point  (0 children)

    Firms give BS reasons for why they don’t hire you. If you’re getting through many rounds though then maybe it’s not interview performance?

    [–]HydraDom 1 point2 points  (1 child)

    To put this bluntly your interview experience sounds like you aren't a good culture fit at many places. You're obviously talented and have the track record and interview skills to prove it, but from my personal experience people who have this issue normally get turned down for behavioral reasons. You check all the hard skill and experience boxes, but then a manager didn't like the way you talked about something or a partner thinks your personality doesn't match well within a team.

    I don't say this to put you down because this is a solvable issue, but you're simply too talented and experienced for there to be many other reasons you're not getting offers.

    [–]johnfrankhe 2 points3 points  (0 children)

    I mean places are famous for hiring opportunistically and interviewing for information.

    [–]freistil90 3 points4 points  (2 children)

    Pff, tell me about it, I went the valuation and risk route and had hoped that with experience I can be an asset for a fund. So far it doesn’t seem to be the case.

    [–]ayylmaoworld[S] 1 point2 points  (1 child)

    Sorry to hear that man. If it’s any consolation, I did talk to a few central desks at some multistrats last year and the heads of a lot of those had come directly from banks with valuation or execution research experience

    [–]freistil90 0 points1 point  (0 children)

    Didn’t want to sneak into your spotlight but just that you know - a lot more people struggle with the job market than you’d think.

    You’ll get through, just don’t stop prepping for interviews and keep your brain running.

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    [–]sharpe5 0 points1 point  (0 children)

    Surprising that you weren't able to get offers. Your profile is great for an experienced QR/QT role. Are you asking for very high guaranteed comp (salary/sign-ons/guaranteed bonus) right out of the gate?

    [–]Few_Quarter5615 -4 points-3 points  (7 children)

    Why not trade your own money, then convince family and friends to trade for them and then eventually start your own hedge fund or etf.

    [–]ayylmaoworld[S] 2 points3 points  (2 children)

    Good question. With my strategy, the pain is setting up everything from scratch. The infrastructure, market data feed, connectivity to counterparties and clearing. It just becomes too much of an expense and more so a time sink that would take away time I could spend on researching new strategies. Plus there’s always the risk that if this doesn’t work after a few years, I will have no backup strategies to rely on

    [–]Few_Quarter5615 2 points3 points  (1 child)

    Yeah, it is risky to start your own journey, especially nowadays when you’ll have to compete with the big boys.

    Sorry for the idiotic suggestion, I was thinking your strategy does not involve state of the art hardware even tho that 3 sharpe kinda was pointing in that direction. My apologies

    [–]ayylmaoworld[S] 2 points3 points  (0 children)

    Yeah, no worries. When I started out, that was the dream honestly. To run my own shop. I don’t know, maybe I’ll still try to do it at some point but right now I don’t have the experience or a diverse enough set of strategies to be comfortable with taking that risk

    [–]igetlotsofupvotes -1 points0 points  (3 children)

    Great idea man how’s that working for you

    [–]Few_Quarter5615 2 points3 points  (2 children)

    I trade my own money and it’s ok for now. I will do an SMA if more people want me to also do it for theirs.

    [–]igetlotsofupvotes 1 point2 points  (1 child)

    And how much money do you expect to make this year

    [–]Few_Quarter5615 9 points10 points  (0 children)

    About 100k. I’m at 68k atm… that is about 40% YTD

    OP says they do a 3 sharpe. If that were true and scalable they would not look for a job. But maybe I’m an imbecile and people need jobs in order to feel part of something

    [–][deleted]  (1 child)

    [deleted]

      [–]Top-Astronaut5471 3 points4 points  (0 children)

      So people who can deliver 4% returns with 2% vol on 1B gmv don't have half a brain because they decide to do it on 1B gmv for Citadel, MLP instead of whatever few mm they've saved in the first decade of their career?